I shoot Raw and use raw editing tools as much as possible. Then use image editor to further finish (crop, etc.), leaving the conversion to B&W to a late step. After conversion, some B&W looks better with extra contrast and slight levels adustment. Summary -- get the best color image I can, then convert to B&W as last part of process.

I shoot in Raw but select B&W in my camera menu so that I see the shot in B&W on the view finder (I use a Konica Minolta 5D) and then still have the unprocessed filed (RAW) that I can maniuplate in CS3.

I convert in photoshop. I have found for true B&W images 1st adjust in levels so image tonal range is crisp, good contrast. Next hue/saturation. I move bar for both to the left completely. You can do it the other way also but the point is you must slide both the same way. Do not change the 3rd slider called lightness. When you move the hue and saturate, your image is now B&W but I have found they are better if you go to levels again and pull the slider a little bit on the white and black. Now your image is crisp with real blacks, whites and gray. Just don't over do the 2nd levels too much but a little really seems to please the eyes. I never use grayscale unless you need a duotone but that is another thing all together.

I have shot both ways and feel that the image that comes out of the camera in monochrome has nicer tones. Of course, you can't get the color "back" when you shoot this way. So that is a disadvantage if you think that you may want a color version of a certain image. In this case, it would be better to shoot in either Raw or Jpeg and convert.

I have always tried to obtain the B&W image I invision from the available color of scene or subject. Capture the subject with saturation and color that will best define the contrast of the monochrome image you see.